Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0223 |
| Annualized Std Dev | 0.2051 |
| Annualized Sharpe (Rf=0%) | 0.1088 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4806.0000 |
| NAs | 1.0000 |
| Minimum | -0.0974 |
| Quartile 1 | -0.0056 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1357 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | 0.0472 |
| Kurtosis | 10.0104 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5306 |
| Historical VaR (95%) | -0.0197 |
| Historical ES (95%) | -0.0310 |
| Modified VaR (95%) | -0.0183 |
| Modified ES (95%) | -0.0220 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-30 | 2009-03-09 | NA | -0.5306 | 3371 | 341 | NA |
| 2002-01-07 | 2002-09-30 | 2004-12-06 | -0.4532 | 684 | 151 | 533 |
| 2004-12-07 | 2006-01-20 | 2006-05-05 | -0.1076 | 356 | 283 | 73 |
| 2007-07-20 | 2007-08-15 | 2007-09-13 | -0.0828 | 39 | 19 | 20 |
| 2007-02-27 | 2007-03-05 | 2007-04-03 | -0.0818 | 26 | 5 | 21 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 | -0.2 | 0.5 |
| 2002 | 0.6 | 0.9 | -0.6 | 0.1 | 0.3 | 1.3 | 1 | -2.8 | 4.1 | 1 | 0.1 | 0.8 | 7.1 |
| 2003 | -1.4 | 0.6 | 1.3 | 0.2 | 1.5 | 0.6 | -0.6 | 0.2 | 1.4 | -0.6 | 2.2 | 1 | 6.5 |
| 2004 | 1.2 | 1.5 | 0.6 | -0.2 | -0.4 | -0.3 | -0.3 | 0.7 | 2.3 | -0.2 | 2 | 0.1 | 7.1 |
| 2005 | 0.1 | 0.9 | -0.6 | 0.8 | -0.5 | -0.1 | 1 | 0.8 | 0.1 | -0.4 | 0.6 | -0.2 | 2.3 |
| 2006 | 0 | 1.4 | 0.1 | 0.5 | 1.6 | 1.8 | -1 | 0.7 | 0.9 | -1.1 | -0.7 | 0.3 | 4.6 |
| 2007 | 0.4 | -1.7 | -0.2 | 0.6 | 0.6 | 0 | 0.9 | 2 | 1 | -2.7 | 0 | -0.7 | 0.3 |
| 2008 | 0.2 | -2.4 | 2.6 | 1.1 | 0.4 | -0.3 | -1.1 | -0.8 | -0.1 | -1.4 | -5.9 | 2.1 | -5.8 |
| 2009 | -0.9 | 0.8 | 3.4 | 1.8 | 0.6 | 1 | 0.6 | -2.1 | -2.2 | -2.8 | 2 | -0.3 | 1.7 |
| 2010 | 1.1 | 0.5 | 0.8 | -0.3 | -0.5 | 1.3 | -0.1 | 2.2 | 1.1 | -0.1 | 1.7 | 0.7 | 8.6 |
| 2011 | 1.3 | -0.6 | 0.6 | -0.1 | -1.5 | 0.9 | 0.3 | -0.3 | -1.6 | -2.1 | -0.8 | 0.6 | -3.4 |
| 2012 | 0.1 | 0.3 | 0.2 | 0.4 | -1 | 1.9 | 0.2 | 0.5 | -0.2 | 1 | -0.2 | 0.9 | 3.9 |
| 2013 | 1.1 | -0.1 | -0.1 | -0.5 | -1.7 | 0.1 | 1.4 | -0.3 | 0.7 | 0 | -0.2 | 0.1 | 0.5 |
| 2014 | -0.4 | -0.3 | 0.3 | 0.2 | 0.2 | 0.9 | -0.6 | 0.4 | -1.2 | 1.4 | -0.8 | -0.8 | -0.8 |
| 2015 | -1.4 | 0 | 0.7 | 0.3 | -0.8 | 0.4 | 0.1 | -2.8 | -0.6 | 0.2 | 0.5 | -0.6 | -4 |
| 2016 | 1.2 | 2 | -0.3 | -0.1 | -0.5 | 0.4 | -0.2 | 0.3 | -0.2 | -0.6 | -0.3 | -0.2 | 1.5 |
| 2017 | -0.4 | 0.6 | -0.2 | 0 | 0.2 | 0.1 | 0.5 | -0.6 | 0.2 | 0 | -0.2 | -0.3 | 0 |
| 2018 | 0.4 | -0.9 | 0.6 | -0.6 | 0.5 | 0 | -0.1 | -0.6 | 0 | 0.2 | 0.3 | 0.1 | -0.2 |
| 2019 | -0.3 | 0.4 | 1.4 | -0.6 | -1.3 | 0.8 | -0.6 | -0.1 | -0.7 | 0.7 | -0.4 | 0 | -0.8 |
| 2020 | -1.4 | -0.1 | -3.8 | -1.3 | 1.5 | 1.8 | 0 | 0.7 | 1.3 | -1 | 1.7 | 0.6 | -0.1 |
| 2021 | 2.1 | 2.7 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
